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VARIANCE RATIO TESTS OF THE RANDOM WALK HYPOTHESIS FOR SOUTH AFRICAN STOCK FUTURES
Author(s) -
Smith Graham,
Rogers Gillian
Publication year - 2006
Publication title -
south african journal of economics
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.502
H-Index - 31
eISSN - 1813-6982
pISSN - 0038-2280
DOI - 10.1111/j.1813-6982.2006.00081.x
Subject(s) - futures contract , random walk , random walk hypothesis , stock exchange , econometrics , stock (firearms) , economics , financial economics , stock index futures , stock market index , statistics , mathematics , stock market , geography , finance , context (archaeology) , archaeology
The hypothesis that stock futures follow a random walk is tested for four stock index futures and a sample of 36 single stock futures traded on the JSE Securities Exchange, South Africa, using joint variance ratio tests based on (i) ranks and signs and (ii) wild bootstrapping. Overall, there is a high degree of weak‐form efficiency: all four stock index futures and twenty‐five of the sample of 36 single stock futures follow a random walk.